Als Vor­tra­gen­den dür­fen wir Tomy Lee (Cen­tral Eu­ropean Uni­ver­si­ty) be­grü­ßen.

Er wird sein Paper "China Walls"  (joint with Da­ni­el Na­than and Chao­jun Wang) vor­stel­len.

Abs­tract: Con­flicts of in­te­rest wit­hin ban­king con­glo­me­ra­tes con­tri­bu­t­ed to the 2008 fi­nan­cial cri­sis. Po­li­cy­ma­kers dra­ma­ti­cal­ly tigh­te­ned in­ter­nal in­for­ma­ti­on barriers-​China Walls-​within the ban­king con­glo­me­ra­tes in re­spon­se. We me­a­su­re trade-​relevant pri­va­te in­for­ma­ti­on flows wit­hin af­fi­lia­te and non-​affiliate firm pairs to de­ter­mi­ne if today's China Walls are ef­fec­tive­ly en­for­ced. Our ap­proach com­pa­res firm pairs around ex­cep­tio­nal­ly large tra­des, ex­ploi­ting the pairs that are neit­her af­fi­lia­tes nor ever trade to strip away ag­gre­ga­te in­for­ma­ti­on shocks. We apply the ap­proach to re­gu­la­to­ry data on the for­eign exchan­ge mar­ket, in which the China Wall rules aim to se­pa­ra­te dea­lers from their af­fi­lia­te funds. We do­cu­ment is­lands of in­for­ma­tio­nal aut­ar­ky wit­hin af­fi­lia­te dealer-​fund pairs sur­roun­ded by a sea of in­for­ma­ti­on sharing: (1) Dea­lers and af­fi­lia­te funds never trade with each other. (2) The dea­lers do not leak in­for­ma­ti­on to af­fi­lia­te funds, nor the funds to af­fi­lia­te dea­lers. (3) Un­af­fi­lia­ted dealer-​fund pairs that fre­quent­ly trade with each other sys­temi­cal­ly share in­for­ma­ti­on, even around days when the pair does not trade. (4) Af­fi­lia­te fund-​to-fund pairs in­ten­se­ly share in­for­ma­ti­on, in­clu­ding the fund pairs whose dea­lers do not over­lap. (5) The pri­va­te in­for­ma­ti­on flows ex­hi­bit strong ho­mo­phi­ly. Firms spe­cia­li­zed in a cur­ren­cy pair re­spond more to each other's in­for­ma­ti­on. Hedge funds re­spond vast­ly more to in­for­ma­ti­on from other hedge funds, and the non-​hedge funds so­me­what more to the other non-​hedge funds. Our re­sults re­ve­al re­mar­kab­le re­gu­la­to­ry ca­pa­ci­ty to con­trol in­for­ma­ti­on flows in de­mo­cra­ci­es.

Das Brown Bag Se­mi­nar fin­det am 24. Ok­to­ber 2024 von 12:00-13:00 Uhr im Raum EA.5.040 statt.